"Modelov\u00E1n\u00ED, m\u011B\u0159en\u00ED a \u0159\u00EDzen\u00ED finan\u010Dn\u00EDch rizik je nutn\u00E9 pova\u017Eovat za nezbytnou sou\u010D\u00E1st managementu finan\u010Dn\u00EDch instituc\u00ED, kter\u00E1 vede ke stanoven\u00ED optim\u00E1ln\u00ED v\u00FD\u0161e pot\u0159ebn\u00E9ho kapit\u00E1lu. Na jeho v\u00FD\u0161i m\u00E1 v\u00FDznamn\u00E9 zastoupen\u00ED kapit\u00E1l ke kryt\u00ED rizika vypl\u00FDvaj\u00EDc\u00EDho z neo\u010Dek\u00E1van\u00E9 zm\u011Bny m\u011Bnov\u00FDch kurz\u016F. M\u011Bnov\u00E9 kurzy (jejich v\u00FDnosy) zpravidla vykazuj\u00ED znatelnou \u0161ikmost a relativn\u011B vysokou \u0161pi\u010Datost, co\u017E vede ke specifick\u00FDm po\u017Eadavk\u016Fm na vhodn\u00E9 modely. V \u010Dl\u00E1nku jsou pro odhad m\u011Bnov\u00E9ho rizika normovan\u00E9ho portfolia aplikov\u00E1ny L\u00E9vyho modely na b\u00E1zi subordin\u00E1toru sdru\u017Een\u00E9 pomoc\u00ED b\u011B\u017En\u00FDch eliptick\u00FDch kopula funkc\u00ED. Vybran\u00E9 modely jsou aplikov\u00E1ny p\u0159i odhadu rizika ex-post i ex-ante a srovn\u00E1ny se standardn\u00EDm p\u0159edpokladem sdru\u017Een\u00E9ho norm\u00E1ln\u00EDho rozd\u011Blen\u00ED. A\u010Dkoliv jsou v\u00FDsledky pro oba typy modelov\u00E1n\u00ED pon\u011Bkud odli\u0161n\u00E9 a L\u00E9vyho m\u00EDra je ignorov\u00E1na, je z\u0159ejm\u00E9, \u017Ee aplikace obou zvolen\u00FDch model\u016F p\u0159in\u00E1\u0161\u00ED velmi dobr\u00E9 v\u00FDsledky a lze ji pova\u017Eovat za v\u00FDrazn\u00E9 vylep\u0161en\u00ED oproti z\u00E1kladn\u00EDm model\u016Fm." . "Examination of portfolio currency risk estimation by L\u00E9vy models"@en . "Posouzen\u00ED odhadu m\u011Bnov\u00E9ho rizika pomoc\u00ED L\u00E9vyho model\u016F" . "27510" . "Posouzen\u00ED odhadu m\u011Bnov\u00E9ho rizika pomoc\u00ED L\u00E9vyho model\u016F"@cs . "RIV/61989100:27510/10:10225340" . "0032-3233" . "Modelov\u00E1n\u00ED, m\u011B\u0159en\u00ED a \u0159\u00EDzen\u00ED finan\u010Dn\u00EDch rizik je nutn\u00E9 pova\u017Eovat za nezbytnou sou\u010D\u00E1st managementu finan\u010Dn\u00EDch instituc\u00ED, kter\u00E1 vede ke stanoven\u00ED optim\u00E1ln\u00ED v\u00FD\u0161e pot\u0159ebn\u00E9ho kapit\u00E1lu. Na jeho v\u00FD\u0161i m\u00E1 v\u00FDznamn\u00E9 zastoupen\u00ED kapit\u00E1l ke kryt\u00ED rizika vypl\u00FDvaj\u00EDc\u00EDho z neo\u010Dek\u00E1van\u00E9 zm\u011Bny m\u011Bnov\u00FDch kurz\u016F. M\u011Bnov\u00E9 kurzy (jejich v\u00FDnosy) zpravidla vykazuj\u00ED znatelnou \u0161ikmost a relativn\u011B vysokou \u0161pi\u010Datost, co\u017E vede ke specifick\u00FDm po\u017Eadavk\u016Fm na vhodn\u00E9 modely. V \u010Dl\u00E1nku jsou pro odhad m\u011Bnov\u00E9ho rizika normovan\u00E9ho portfolia aplikov\u00E1ny L\u00E9vyho modely na b\u00E1zi subordin\u00E1toru sdru\u017Een\u00E9 pomoc\u00ED b\u011B\u017En\u00FDch eliptick\u00FDch kopula funkc\u00ED. Vybran\u00E9 modely jsou aplikov\u00E1ny p\u0159i odhadu rizika ex-post i ex-ante a srovn\u00E1ny se standardn\u00EDm p\u0159edpokladem sdru\u017Een\u00E9ho norm\u00E1ln\u00EDho rozd\u011Blen\u00ED. A\u010Dkoliv jsou v\u00FDsledky pro oba typy modelov\u00E1n\u00ED pon\u011Bkud odli\u0161n\u00E9 a L\u00E9vyho m\u00EDra je ignorov\u00E1na, je z\u0159ejm\u00E9, \u017Ee aplikace obou zvolen\u00FDch model\u016F p\u0159in\u00E1\u0161\u00ED velmi dobr\u00E9 v\u00FDsledky a lze ji pova\u017Eovat za v\u00FDrazn\u00E9 vylep\u0161en\u00ED oproti z\u00E1kladn\u00EDm model\u016Fm."@cs . "Posouzen\u00ED odhadu m\u011Bnov\u00E9ho rizika pomoc\u00ED L\u00E9vyho model\u016F"@cs . "L\u00E9vy models, variance gamma model, normal inverse Gaussian model, ordinary elliptical copula function, financial risk, backtesting"@en . "1"^^ . . "1"^^ . "280161" . "Politick\u00E1 ekonomie" . "000282356600005" . . . . . . . "RIV/61989100:27510/10:10225340!RIV11-GA0-27510___" . "58" . "4" . "CZ - \u010Cesk\u00E1 republika" . . "[F2D773DE5408]" . . "Financial risk modeling, measuring, and managing are an inherent part of management in financial institutions. It is also an important step within the setting of optimal level of capital eligible to cover risk exposures. A signifi cant portion of capital is usually assigned to cover the risk of unexpected changes in FX rates. FX rates (the returns) commonly exhibit signifi cant skewness and relatively huge kurtosis. In this paper, we apply subordinated L\u00E9vy models coupled together by ordinary elliptical copula functions in order to estimate the FX rate risk of normalized portfolio. Selected models are applied in order to estimate the risk ex-post, as well as ex-ante. The models are also compared to the more standard assumption of the joint normal distribution. Although the results for both types of modeling are quite different and L\u00E9vy measure is ignored, suggested models deliver us improved risk estimation."@en . . "18"^^ . . "Posouzen\u00ED odhadu m\u011Bnov\u00E9ho rizika pomoc\u00ED L\u00E9vyho model\u016F" . . . . "P(GA402/08/1237), S" . . . . . "Examination of portfolio currency risk estimation by L\u00E9vy models"@en . . "Tich\u00FD, Tom\u00E1\u0161" .